Bayesian Model Selection for Beta Autoregressive Processes

被引：19

作者：

Casarin, Roberto ^{[1
,2
]}

Dalla Valle, Luciana ^{[3
]}

Leisen, Fabrizio ^{[4
]}

机构：

[1] Univ Ca Foscari, Venice, Italy

[2] Sch Adv Studies, Venice, Italy

[3] Univ Plymouth, Sch Comp & Math, Plymouth PL4 8AA, Devon, England

[4] Univ Carlos III Madrid, Dept Estadst, E-28903 Getafe, Spain

来源：

BAYESIAN ANALYSIS | 2012年 / 7卷 / 02期

关键词：

Bayesian Inference; Beta Autoregressive Processes; Reversible Jump MCMC; UNEMPLOYMENT; CONSTRUCTION;

D O I：

10.1214/12-BA713

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We deal with Bayesian model selection for beta autoregressive processes. We discuss the choice of parameter and model priors with possible parameter restrictions and suggest a Reversible Jump Markov-Chain Monte Carlo (RJMCMC) procedure based on a Metropolis-Hastings within Gibbs algorithm.

引用

页码：385 / 409

页数：25

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